Asymptotic properties of linear regression parameter estimator in the case of long-range dependent regressors and noise
A. V. Ivanov, I. V. OrlovskyTheory of Stochastic Processes
Vol.19 (35), no.1, 2014, pp.1-10
Sufficient conditions of consistency and asymptotic normality of least squares estimator of linear regression model parameter in the case of long-range dependent random regressors and noise are obtained in the paper.